Expected return on stock according to fama-french model

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Reference no: EM131026265

The expected risk premium on small stocks relative to large stocks is 7%, and the expected risk premium on high book-to-market stocks relative to low book-to-market stocks is 5%. Assume that the expected risk premium on the overall stock market relative to the risk-free rate is 6%. A particular stock has a market beta of 0.9, a size beta of 0.3, and a book-to-market beta of 0.5. If the risk-free rate is 5%, what is the expected return on this stock according to the Fama-French model? a. 10.8% b. 15% c. 17% d. 25% e. 23.5%

Reference no: EM131026265

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